On modelling of Gaussian process with accuracy and reliability in the space L_p[0,T]
In this paper, representations of random processes in the form of random series with uncorrelated terms obtained in the paper by \textit{Yu. V. Kozachenko} et al., Random Oper. Stoch. Equ. 15, No. 1, 15--33 (2007; Zbl 1142.60349), are used for approximation of processes with a given reliability and accuracy in the space \(L_p[0;T]\). Similar constructions were studied in the book by \textit{Yu. V. Kozachenko}, \textit{Yu. Yu. Mlavets} and \textit{O. M. Mokliachuk}, Quasi-Banach spaces of random variables. Uzhgorod: Karpaty (2015), in general case. See also \textit{O. Mokliachuk}, in: Stochastic processes. Fundamentals and emerging applications. New York, NY: Nova Science Publishers. 351--414 (2022; Zbl 1515.60078) for more results and references. The Karhunen-Loéve representations of stochastic processes with the help of systems of orthogonal polynomials are exploited. If a stochastic process is represented as a convergent series then as a model of this process, we can use a cut-off series. In this paper estimates of accuracy and reliability of the constructed model are derived.
- Simulation of a Gaussian stationary process with a stable correlation function with a given reliability and accuracy
- Construction models of Gaussian random processes with a given accuracy and reliability in L_p(T), p 1
- Modelling with given reliability and accuracy in the space \(L_p(T)\) of stochastic processes from \(\mathrm{Sub}_{\phi}(\Omega)\) decomposable in series with independent elements
- Conditions for finding a model of a stochastic process with given accuracy and reliability in the space \(C[0,T]\).
- scientific article; zbMATH DE number 2169742
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